Continuous-time linear models - Cochrane, John H. (John Howland) (Hanover, Mass. Now Publishers, 2012)
1. Introduction -- 2. Linear models and lag operators -- 2.1 Discrete time operators -- 2.2 A note on linear processes -- 2.3 Continuous-time operators -- 2.4 Laplace transforms -- 3. Moving average representation and moments -- 4. ARMA models -- 4.1 Discrete time -- 4.2 Continuous time -- 4.3 How not to define ARMA models -- 5. Differences -- 5.1 Levels to differences in discrete time -- 5.2 Levels to differences in continuous time -- 6. Impulse-response function -- 6.1 Discrete time -- 6.2 Continuous time -- 7. Hansen-Sargent formulas -- 7.1 Discrete time -- 7.2 Continuous time -- 7.3 Derivation -- 8. Integration and cointegration -- 8.1 Difference-stationary series -- 8.2 Differences to levels in discrete time; Beveridge and Nelson -- 8.3 Differences to levels in continuous time -- 8.4 Cointegration -- 9. Summary -- Acknowledgments -- References.
Includes bibliographical references (pages 218-219).
John Cochrane (2012) "Continuous-Time Linear Models", Foundations and Trends in Finance: Vol. 6: No 3, pp 165-219.
Keywords: Linear models (Statistics).